A factor pricing model based on machine learning algorithm
Yi Fang, Yuzhi Chen, Hang Ren
| Year of publication: |
2023
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|---|---|
| Authors: | Fang, Yi ; Chen, Yuzhi ; Ren, Hang |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 88.2023, p. 280-297
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| Subject: | Bootstrap | Factor pricing | Market anomalies | SVR | Wavelet transform | Künstliche Intelligenz | Artificial intelligence | CAPM | Bootstrap-Verfahren | Bootstrap approach | Theorie | Theory | Faktorpreis | Factor price | Zustandsraummodell | State space model | Börsenkurs | Share price | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2023.06.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014474520